Why does my hair particles look so thick in cycles
It's probably the Hair Shape settings that are set too high (default values) and it looks like this:

To better see what's going on, go to Eevee, and set the Hair → Hair Shape Type to Strip. This gives you a better idea in Material Preview/Look Dev mode of how the hair actually looks like when it's rendered in Cycles. The hair particles now will look thick. Don't worry, we will fix it in a moment. Switch back to Cycles.

Let's make the hair thinner:  In the Hair Particles → Hair Shape settings you can adjust the thickness. Go to Hair Shape section, and try these values (for example): Strand Shape: -0.850,  Diameter Root: 0.05 m, Tip: 0.03 m.
These values works best when your model is in real-world size and the scale is applied (Ctrl+A).